Financial Daily from THE HINDU group of publications
Sunday, Jun 05, 2005
Financial Daily from THE HINDU group of publications Sunday, Jun 05, 2005 |
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Investment World
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Derivatives Markets Markets - Derivatives Markets Moderate trading K.S. Badri Narayanan
THE trading activity at the F&O segment on the NSE was just moderate during the last week ending Friday; the average daily volumes improved to Rs 8821 crore against the previous week figure of Rs 13,606 crore. Fair value: The fair value of the Nifty June contracts (without considering dividend yields) works out to about 2076 against the Friday's close of 2075.85 (assuming interest rate at 6 per cent). The FV of July contracts stood at 2,080 (appx) against the Friday's close 2063.15. This indicates that farther months' contracts are fairly under-priced with respect to near-month contract. In this backdrop, buying the farther-month contract and selling the near-month may be beneficial. The discount of August contracts was even sharper by 33.3 points. FII position: The cumulative FII positions as percentage of total gross market position in the derivative segment declined to 33.5 per cent against the previous week figure of 41.43 per cent (Thursday). Stock futures: Reliance, Tata Steel, SBI, Infosys Technologies, Satyam Computer, TCS, Tata Motors, Maruti and TCS were the most active contracts. * Most individual stock futures are ruling at a discount to the spot close and saw their discount narrowing down a bit. * Implied volatility of calls jumped for most contracts while that of puts slipped. This indicates a positive bias as most players are betting on their upside movement. Put/call ratio, on the other hand, displayed a mixed trend. While PCR, open interest position wise, improved sharply for most of the index heavyweights, the same on volume basis remained flat. This signals a contrarian view as most players have kept their puts position open as a hedge against sharp fall.
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